Professeur
Marché obligataire
Derivés
Marché des matières premières
Gestion d'Actifs Financiers
Valuation des actifs financiers
Matières premières
Actions
HDR, Finance
Université de Nantes, France (2022)
PhD en Finance
Brunel University, Royaume Uni (1998)
MSc en Finance
Brunel University, Royaume Uni (1994)
Master in Management
ESLSCA, France (1993)
Academic Experience
Responsable Recherche - Département Finance
Audencia Business School, France,
2019 - 2022
Professor of Finance
EDHEC Business School, France,
2008 - 2017
Associate Professor of Finance
EDHEC Business School, France,
2007 - 2008
Assistant professeur visitant
UTS, Australie,
2001 - 2002
Associate and Assistant Professor in Finance
Cass Business School, Royaume Uni,
2000 - 2006
Assistant Professor of Finance
ICMA Centre, Royaume Uni,
1999 - 2001
Research Fellow and Teaching Assistant
ICMA Centre, Royaume Uni,
1998 - 1999
Research and Teaching Assistant, Research Fellow
Brunel University, Royaume Uni,
1994 - 1998
2023
BIANCHI, R., FAN, J., MIFFRE, J., ZHANG, R. (2023) . Exploiting the dynamics of commodity futures curves, Journal of Banking and Finance, 154 (106965), 106965
FERNANDEZ-PEREZ, A., MIFFRE, J., SCHOEN, T., SCOTT, A. (2023) . Do spot market auction data help price discovery?, Journal of Commodity Markets, 31 (100335), 100335
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2023) . The negative pricing of the May 2020 WTI contract, Energy Journal, 44 (1), 119-142
2022
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2022) . The strategic allocation to style-integrated portfolios of commodity futures, Journal of Commodity Markets, 28 (December 2022), 100259
2021
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2021) . The risk premia of energy futures, Energy Economics, 102 (October 2021), Article N° 105460
2020
FERNANDEZ-PEREZ, A., FUERTES, A., GONZALEZ-FERNANDEZ, M., MIFFRE, J. (2020) . Fear of hazards in commodity futures markets, Journal of Banking and Finance, 119 (October 2020), Article n° 105902
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2020) . Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Journal of Empirical Finance, 58 (September 2020), 164-180
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2020) . Speculative pressure, Journal of Futures Markets, 40 (4), 575–597
2019
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2019) . A comprehensive appraisal of style-integration methods, Journal of Banking and Finance, 105 134-150
2018
FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A., MIFFRE, J. (2018) . The skewness of commodity futures returns, Journal of Banking and Finance, 86 143-158
2017
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2017) . Commodity markets, long-horizon predictability and intertemporal pricing, Review of Finance, 21 (3), 1159-1188
2016
MIFFRE, J. (2016) . Long-short commodity investing: A review of the literature, Journal of Commodity Markets, 1 3-13
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2016) . Is idiosyncratic volatility priced in commodity futures markets?, International Review of Financial Analysis, 46 219-226
BROOKS, C., FERNANDEZ-PEREZ, A., MIFFRE, J., NNEJI, O. (2016) . Commodity risks and the cross-section of equity returns, British Accounting Review, 48 134-150
2015
FERNANDEZ-PEREZ, A., MIFFRE, J. (2015) . The case for long-short commodity investing, Journal of Alternative Investments, 18 92-104
FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2015) . Commodity strategies based on momentum, term structure and idiosyncratic volatility, Journal of Futures Markets, 35 274-297
2013
FUERTES, A., MIFFRE, J., RALLIS, G. (2013) . Strategic and tactical roles of enhanced commodity indices, Journal of Futures Markets, 33 965-992
BASU, D., MIFFRE, J. (2013) . The performance of simple dynamic commodity strategies, Journal of Alternative Investments, 16 9-18
BASU, D., MIFFRE, J. (2013) . Capturing the risk premium of commodity futures: The role of hedging pressure, Journal of Banking and Finance, 37 2652-2664
BROOKS, C., LI, X., MIFFRE, J. (2013) . Idiosyncratic volatility and the pricing of poorly-diversified portfolios, International Review of Financial Analysis, 30 78-85
BROOKS, C., MIFFRE, J. (2013) . Do long-short speculators destabilize commodity futures markets?, International Review of Financial Analysis, 30 230-240
2012
BROOKS, C., CERNY, A., MIFFRE, J. (2012) . Optimal hedging with higher moments, Journal of Futures Markets, 32 909-944
2010
BROOKS, C., LI, X., MIFFRE, J. (2010) . Transaction costs, trading volume and momentum strategies, The Journal of Trading, 5 66-81
CHONG, J., MIFFRE, J. (2010) . Conditional correlation and volatility in commodity futures and traditional asset markets, Journal of Alternative Investments, 12 61-75
FUERTES, A., MIFFRE, J., RALLIS, G. (2010) . Tactical allocation in commodity futures markets: Combining momentum and term structure signals, Journal of Banking and Finance, 34 2530-2548
2009
FUERTES, A., MIFFRE, J., TAN, W. (2009) . Momentum profits, non-normality risks and the business cycle, Applied Financial Economics, 19 935-953
CHONG, J., MIFFRE, J., STEVENSON, S. (2009) . Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15 173-184
BROOKS, C., LI, X., MIFFRE, J. (2009) . The value premium and time-varying volatility, Journal of Business Finance and Accounting, 36 1252-1272
BROOKS, C., LI, X., MIFFRE, J. (2009) . Low-cost momentum strategies, Journal of Asset Management, 9 366-379
2008
MIFFRE, J. (2008) . Conditional risk premia in international government bond markets, Multinational Finance Journal, 12 185-204
KAT, H., MIFFRE, J. (2008) . The impact of non-normality risks and tactical trading on hedge fund alphas, Journal of Alternative Investments, 10 8-22
BROOKS, C., LI, X., MIFFRE, J., O' SULLIVAN, N. (2008) . Momentum profits and time-varying unsystematic risk, Journal of Banking and Finance, 32 541-558
2007
MIFFRE, J. (2007) . Country-specific ETFs: An efficient approach to global asset allocation, Journal of Asset Management, 8 112-122
MIFFRE, J., RALLIS, G. (2007) . Momentum strategies in commodity futures markets, Journal of Banking and Finance, 31 1863-1886
2004
MIFFRE, J. (2004) . Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24 945-964
MIFFRE, J. (2004) . The conditional price of basis risk: An investigation using foreign exchange instruments, Journal of Business Finance and Accounting, 31 1046-1068
2003
MIFFRE, J. (2003) . The cross section of expected futures returns and the Keynesian hypothesis, Applied Financial Economics, 13 731-739
2002
MIFFRE, J. (2002) . Portfolio beta under market segmentation, Derivatives Use, Trading and Regulation, 8 159-168
MIFFRE, J. (2002) . Economic significance of the predictable movements in futures returns, Economic Notes, 31 125-142
MIFFRE, J. (2002) . The predictability of futures returns: Market inefficiency or rational change in required returns?, Applied Financial Economics, 12 715-724
2001
MIFFRE, J. (2001) . Efficiency in the pricing of the FTSE100 futures contract, European Financial Management, 7 9-22
MIFFRE, J. (2001) . Economic activity and time variation in expected futures returns, Economics Letters, 73 73-79
2000
MIFFRE, J., PRIESTLEY, R. (2000) . Sources of systematic risk in futures and spot markets: A study of market integration, Journal of Business Finance and Accounting, 27 933-952
MIFFRE, J. (2000) . Normal backwardation is normal, Journal of Futures Markets, 20 803-821
1995
MIFFRE, J., CLARE, A. (1995) . A note on forecasting the CAC 40 and DAX stock index futures, Applied Economics Letters, 2 327-330
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2023). Does speculation in futures markets improve hedging decisions?. CEMA 2023 conference.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2022). The negative pricing of the May 2020 WTI contract. CEMA 2022 conference.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks. French Finance Association Conference.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks. CEMA 2021 conference.
RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The risk premium of commodity futures and neural networks. PANORisk conference.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Financial Engineering and Banking Society conference.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Conference on Computational and Financial Econometrics.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Commodity Markets Winter Workshop, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Frontiers of Factor Investing, Lancaster University Business School.
FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Speculative pressure. PanoRisk conference, Audencia Business School.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2017). Harvesting commodity styles: An integrated framework., PanoRisk conference.
MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?. Barclays European Quantitative Investment Strategies Conference.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2021). On the negative pricing of WTI crude oil futures. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.
MIFFRE, J., FERNANDEZ-PEREZ, A., FUERTES, A. -M. (2020). Fear of Hazards in Commodity Markets, Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities, Summer 2020.
FERNANDEZ-PEREZ, A., FUERTES, A. -M., MIFFRE, J. (2018). Harvesting commodity styles: A flexible integration framework,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.
FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A. -M., MIFFRE, J. (2017). The skewness of commodity futures returns,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities, Winter 2017.
FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Is idiosyncratic volatility priced in commodity futures markets?,. Global Commodities Applied Research Digest, Spring 2017, 2, 1.
Professional Conferences
MIFFRE, J. (2021). Absolute return from commodities strategies through style integration and machine learning. UBS Commodities Virtual Conference.
MIFFRE, J. (2020). UBS risk premia conference, Panel discussion on commodity risk premia.
MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?. Barclays European Quantitative Investment Strategies Conference.
Reviewer revue académique
Journal of Futures Markets Depuis 2022
Energy Economics Depuis 2021
Financial Management Depuis 2021
Energy Journal Depuis 2021
Pacific-Basin Finance Journal Depuis 2021
Journal of Commodity Markets Depuis 2020
Review of Finance Depuis 2020
Journal of Empirical Finance Depuis 2020
Journal of Financial and Quantitative Analysis Depuis 2020
American Journal of Agricultural Economics Depuis 2020
Economic Modelling Depuis 2020
Energy Economics Depuis 2020
Journal of Banking and Finance , 2019 - 2019
Review of Finance , 2019 - 2019
Journal of Commodity Markets , 2019 - 2019
Journal of Banking and Finance , 2018 - 2018
Journal of International Money and Finance , 2018 - 2018
Journal of Finance , 2017 - 2017
Editeur associé d'une revue de recherche
Modern Finance Depuis 2023
Journal of Futures Markets Depuis 2022
Commodities Depuis 2021
Journal of Risk and Financial Management , 2020 - 2023
Finance Research Letters , 2015 - 2020
Journal of Commodity Markets Depuis 2015
International Review of Financial Analysis , 2014 - 2018
Journal of Banking and Finance Depuis 2014
Membre Comité scientifique d'une association académique
Commodity Insights Digest Depuis 2023
Thesis director
2010 - 2015,
B. Kandavel : Short-term nodal trading in electricity markets
EDHEC Business School, France
Thesis co-director
- 2021,
R. Zhang : Essays on commodity futures investments
Griffith Business School, Australie
- 2021,
H. Rad : Commodity risk premia in modern portfolio management
University of Queensland Business School, Australie
2008 - 2014,
H. Lei : Exchange traded funds
Cass Business School, Royaume Uni
2005 - 2011,
G. Rallis : Commodity trading strategies
Cass Business School, Royaume Uni
2004 - 2008,
X. Li : Momentum and value strategies
Cass Business School, Royaume Uni
Thesis Jury Member
- 2022,
M. RISSTAD MORTEN : Essays in Financial Economics
,
Thesis Reviewer
M. NOORI : Essays in Empirical Finance
,